Because there is nothing out in space for the object to conduct heat to.

An oven cools down because cooler air molecules bump into it, and take energy away.

In space there are very few molecules around, and those that are there are usually highly energetic. For that reason, spacecraft's heatsinks need to be designed to radiate heat away as electromagnetic radiation - a much slower process.

Heat transfer occurs via convection, conduction, or radiation. As enigma said, convection & conduction are kinda tough in the vacuum of space. Radiation is slower and also has to fight against incoming radiation from other sources (like the Earth, sun).

Not to mention that getting down to near-absolute zero is no easy task.